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Paris December 2018 Finance Meeting EUROFIDAI - ESSEC (Archive)

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Viewing: 1 - 50 of 61 papers

1.

Ease-of-processing Heuristics and Asset Prices: Evidence from the Exchange-traded Repo Market in China

Number of pages: 62 Posted: 01 Mar 2019 Last Revised: 27 Apr 2021
Working Paper Series
Xuyun Fang, Zhiqian Jiang, Baixiao Liu, John J. McConnell and Mingshan Zhou
China Life Asset Management Company Ltd., Florida State University, College of Business, Department of Finance, Peking University HSBC Business School, Purdue University and Southwestern University of Finance and Economics (SWUFE)
Downloads 137
2.

Why Trade Over-the-Counter? When Investors Want Price Discrimination

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 07 Jun 2018
Working Paper Series
Tomy Lee and Chaojun Wang
CEU and University of Pennsylvania - The Wharton School

Multiple version iconThere are 2 versions of this paper

Downloads 58
3.

Efficient Bubbles?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 06 Jun 2018
Working Paper Series
Valentin Haddad, Paul Ho and Erik Loualiche
University of California, Los Angeles (UCLA) - Anderson School of Management, Federal Reserve Banks - Federal Reserve Bank of Richmond and University of Minnesota, Finance
Downloads 60
4.

Banks' Foreign Currency Exposure and the Real Effects of Exchange Rate Shocks

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 62 Posted: 05 Jun 2018 Last Revised: 03 Jun 2021
Working Paper Series
Isha Agarwal
University of British Columbia
Downloads 212
5.

Beta Risk in the Cross-Section of Equities

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 86 Posted: 05 Jun 2018
Working Paper Series
Ali Boloor, Peter Christoffersen, Christian Gourieroux and Mathieu Fournier
Concordia University, University of Toronto - Rotman School of Management, University of Toronto - Department of Economics and HEC Montreal

Multiple version iconThere are 2 versions of this paper

Downloads 71
6.

Special Repo Rates and the Cross-Section of Bond Prices

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 39 Posted: 05 Jun 2018
Working Paper Series
Stefania D'Amico and N. Aaron Pancost
Federal Reserve Bank of Chicago and University of Texas at Austin McCombs School of Business
Downloads 55
7.

Banks Defy Gravity

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 05 Jun 2018 Last Revised: 28 Jun 2018
Working Paper Series
Anne-Laure Delatte, Vincent Bouvatier and Gunther Capelle-Blancard
CNRS, University Paris-Est Créteil (UPEC) - ERUDITE and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 65
8.

The Informational Value of Consensus Prices: Evidence from the OTC Derivatives Market

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 45 Posted: 05 Jun 2018
Working Paper Series
Lerby Murat Ergun and Andreas Uthemann
Bank of Canada and London School of Economics & Political Science (LSE)
Downloads 34
9.

Macro Risks and the Term Structure of Interest Rates

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 05 Jun 2018 Last Revised: 06 Dec 2019
Working Paper Series
Geert Bekaert, Eric Engstrom and Andrey Ermolov
Columbia University - Columbia Business School, Finance, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 70
10.

Performance-Based Turnover on Corporate Boards

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 05 Jun 2018
Working Paper Series
Thomas W. Bates, David Becher and Jared I. Wilson
Arizona State University - Department of Finance, Drexel University and Indiana University - Kelley School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 72
11.

Trading Complex Risks

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 71 Posted: 05 Jun 2018
Working Paper Series
Felix Fattinger
WU Vienna University of Economics and Business

Multiple version iconThere are 2 versions of this paper

Downloads 30
12.

Lending Technologies and Lending Relationships

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 05 Jun 2018
Working Paper Series
Artashes Karapetyan and Bogdan Stacescu
ESSEC Business School and BI Norwegian Business School
Downloads 33
13.

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Working Paper Series
Calebe de Roure, Emanuel Moench, Loriana Pelizzon and Michael Schneider
Reserve Bank of Australia, Frankfurt School of Finance and Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 36
14.

What If Dividends Were Tax‐Exempt? Evidence from a Natural Experiment

HEC Paris Research Paper No. FIN-2020-1381
Number of pages: 63 Posted: 04 Jun 2018 Last Revised: 27 Aug 2020
Working Paper Series
Dušan Isakov, Christophe Pérignon and Jean-Philippe Weisskopf
University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences, HEC Paris - Finance Department and EHL Hospitality Business School
Downloads 244
15.

Electronic Trading in OTC Markets vs. Centralized Exchange

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 04 Jun 2018
Working Paper Series
Ying Liu, Sebastian Vogel and Yuan Zhang
Shanghai University of Finance and Economics - Department of Finance, Erasmus University Rotterdam (EUR) and Ecole Polytechnique Fédérale de Lausanne

Multiple version iconThere are 2 versions of this paper

Downloads 73
16.

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns

Number of pages: 50 Posted: 04 Jun 2018 Last Revised: 28 Oct 2019
Working Paper Series
Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu
Bank of Canada, Syracuse University - Whitman School of Management, ESSEC Business School and Syracuse University

Multiple version iconThere are 2 versions of this paper

Downloads 66
17.

Learning from Noise? Price and Liquidity Spillovers Around Mutual Fund Fire Sales

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 77 Posted: 04 Jun 2018
Working Paper Series
Pekka Honkanen and Daniel Schmidt
HEC Paris and HEC Paris - Finance Department
Downloads 70
18.

Labor Leverage, Coordination Failures, and Aggregate Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 88 Posted: 04 Jun 2018 Last Revised: 19 Nov 2020
Working Paper Series
Matthieu Bouvard and Adolfo de Motta
Toulouse School of Economics, University Toulouse Capitole (TSM-Research) and McGill University - Desautels Faculty of Management
Downloads 84
19.

Exogenous Shocks and Real Effects of Financial Constraints: Loan- and Firm-Level Evidence around Natural Disasters

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 04 Jun 2018 Last Revised: 06 May 2019
Working Paper Series
Ai He
University of South Carolina - Darla Moore School of Business
20.

Friends in Media

Number of pages: 68 Posted: 04 Jun 2018 Last Revised: 02 Mar 2022
Working Paper Series
Guosong Xu
Rotterdam School of Management, Erasmus University
Downloads 495
21.

Is Normal Backwardation Normal? Valuing Financial Futures with a Stochastic, Endogenous Index-Rate Covariance

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 04 Jun 2018
Working Paper Series
Philippe Raimbourg and Paul Zimmermann
Université Paris I Panthéon-Sorbonne and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 33
22.

Fragmentation and the Price Discovery Dynamics: The Contributions of Multilateral Trading Facilities and Regulated Market

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 04 Jun 2018 Last Revised: 26 Jan 2019
Working Paper Series
Roland L. Gillet and Stéphanie Ligot
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne (PRISM Sorbonne and Labex RéFi)
23.

Does Unobservable Heterogeneity Matter for Portfolio-Based Asset Pricing Tests?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 04 Jun 2018 Last Revised: 25 Mar 2020
Working Paper Series
Daniel Hoechle, Markus Schmid and Heinz Zimmermann
FHNW School of Business - Institute for Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of Basel

Multiple version iconThere are 2 versions of this paper

Downloads 174
24.

International Capital Markets with Time-Varying Preferences

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 04 Jun 2018
Working Paper Series
Giuliano Curatola and Ilya Dergunov
University of Siena - Department of Economics and Statistics and Australian National University (ANU)

Multiple version iconThere are 2 versions of this paper

Downloads 15
25.

Debt Renegotiations outside Distress

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 60 Posted: 04 Jun 2018 Last Revised: 19 May 2022
Working Paper Series
Marc Arnold and Ramona Westermann
University of St. Gallen - School of Finance and Copenhagen Business School

Multiple version iconThere are 2 versions of this paper

Downloads 47
26.

Dynamic Adverse Selection and Liquidity

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 49 Posted: 04 Jun 2018 Last Revised: 05 May 2020
Working Paper Series
Ioanid Rosu
HEC Paris - Finance Department
Downloads 74
27.

Disastrous Defaults

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 01 Jun 2018 Last Revised: 24 Oct 2020
Working Paper Series
Christian Gourieroux, Alain Monfort, Sarah Mouabbi and Jean-Paul Renne
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Multiple version iconThere are 2 versions of this paper

Downloads 147
28.

A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 01 Jun 2018
Working Paper Series
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, Dept. Maths & Statis, Concordia University and Université Paris-Dauphine, PSL Research University
29.

Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to News

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 67 Posted: 01 Jun 2018 Last Revised: 13 Nov 2020
Working Paper Series
Hedi Benamar, Thierry Foucault and Clara Vega
Board of Governors of the Federal Reserve System, HEC Paris - Finance Department and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 66
30.

Employment Protection and Share Repurchases: Evidence from Wrongful Discharge Laws

Journal of Corporate Finance, Forthcoming
Number of pages: 88 Posted: 01 Jun 2018 Last Revised: 06 Jul 2021
Accepted Paper Series
Viet Anh Dang, Amedeo De Cesari and Hieu V. Phan
Alliance Manchester Business School, University of Manchester - Alliance Manchester Business School - Finance & Accounting Group and University of Massachusetts Lowell
Downloads 219
31.

Shadow Pills and Long-Term Firm Value

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 31 May 2018 Last Revised: 18 Jan 2022
Working Paper Series
Martijn Cremers, Lubomir P. Litov, Simone M. Sepe and Michał Zator
University of Notre Dame, University of Oklahoma - Michael F. Price College of Business, University of Arizona - James E. Rogers College of Law and University of Notre Dame - Mendoza College of Business

Multiple version iconThere are 2 versions of this paper

Downloads 36
32.

Monetary Policy and Equity Valuation

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 31 May 2018 Last Revised: 17 Nov 2018
Working Paper Series
Nicolas Mougeot
John Molson School of Business, Concordia University
Downloads 62
33.

Are Investors Aware of Ownership Connections?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 48 Posted: 29 May 2018
Working Paper Series
Edith Ginglinger, Camille Hebert and Luc Renneboog
Université Paris-Dauphine, PSL Research University, University of Toronto - Rotman School of Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 105
34.

Labor Links and Shock Transmissions

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 70 Posted: 25 May 2018 Last Revised: 20 Oct 2019
Working Paper Series
Yukun Liu and Xi Wu
University of Rochester - Simon Business School and Haas School of Business, University of California Berkeley
Downloads 1,163
35.

Contagious Bank Runs and Dealer of Last Resort

Paris December 2018 Finance Meeting EUROFIDAI - AFFI, WBS Finance Group Research Paper No. 250
Number of pages: 60 Posted: 24 May 2018 Last Revised: 01 Feb 2021
Working Paper Series
Zhao Li and Kebin Ma
University of International Business and Economics (UIBE) - School of Banking and Finance and University of Warwick - Finance Group
Downloads 79
36.

The Origins and Real Effects of the Gender Gap: Evidence from CEOs' Formative Years

Review of Financial Studies
Number of pages: 99 Posted: 07 May 2018 Last Revised: 20 Jul 2020
Accepted Paper Series
Ran Duchin, Mikhail Simutin and Denis Sosyura
Boston College - Carroll School of Management, University of Toronto - Rotman School of Management and Arizona State University
Downloads 773
37.

Adapting Lending Policies When Negative Interest Rates Hit Banks’ Profits

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 30 Apr 2018
Working Paper Series
Oscar Arce, Miguel Garcia-Posada, Sergio Mayordomo and Steven Ongena
Banco de España, Banco de España, Banco de España and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 3 versions of this paper

Downloads 127
38.

Skewness Swaps: Evidence from the Cross-Section of Stocks

Swiss Finance Institute Research Paper No. 18-31, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 57 Posted: 29 Mar 2018 Last Revised: 12 Aug 2021
Working Paper Series
Paola Pederzoli
University of Houston - C.T. Bauer College of Business
Downloads 393
39.

Attracting the Sharks: Corporate Innovation and Securities Class Action Lawsuits

European Corporate Governance Institute - Finance Working Paper No. 614/2019
Number of pages: 65 Posted: 22 Mar 2018 Last Revised: 14 Jan 2022
Accepted Paper Series
Elisabeth Kempf and Oliver G. Spalt
University of Chicago - Booth School of Business and University of Mannheim - Business School

Multiple version iconThere are 2 versions of this paper

Downloads 914
40.

Deposit Windfalls and Bank Reporting Quality: Evidence from Shale Booms

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 21 Mar 2018 Last Revised: 27 Jul 2018
Working Paper Series
Xi Wu
Haas School of Business, University of California Berkeley
Downloads 318
41.

Measuring Skewness Premia

HEC Paris Research Paper No. FIN-2018-1256, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 65 Posted: 20 Mar 2018 Last Revised: 25 Jan 2019
Working Paper Series
Hugues Langlois
HEC Paris - Finance Department
Downloads 504
42.

The Impact of Recency Effects on Stock Market Prices

31st Australasian Finance and Banking Conference 2018, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 76 Posted: 07 Mar 2018 Last Revised: 06 Apr 2019
Working Paper Series
Hannes Mohrschladt
University of Muenster - Finance Center
Downloads 741
43.

Rediscover Predictability: Information from the Relative Prices of Long-Term and Short-Term Dividends

Fisher College of Business Working Paper No. 2018-03-016, Charles A. Dice Center Working Paper No. 2018-16, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 69 Posted: 14 Feb 2018 Last Revised: 17 Oct 2018
Working Paper Series
Ye Li and Chen Wang
Ohio State University (OSU) and University of Notre Dame - Mendoza College of Business
Downloads 241
44.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 31 Jan 2020
Working Paper Series
Andrew L. Detzel, Hong Liu, Jack Strauss, Guofu Zhou and Yingzi Zhu
University of Denver - Daniels College of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,117
45.

The Contribution of Frictions to Expected Returns: An Options-based Estimation Approach

Number of pages: 68 Posted: 11 Feb 2018 Last Revised: 16 Feb 2021
Working Paper Series
Kazuhiro Hiraki, George S. Skiadopoulos and George S. Skiadopoulos
Bank of Japan and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 312
46.

Marketplace Lending: A New Banking Paradigm?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 04 Feb 2018 Last Revised: 24 Jan 2019
Working Paper Series
Boris Vallee and Yao Zeng
Harvard Business School - Finance Unit and University of Pennsylvania - The Wharton School
Downloads 664
47.

Global Portfolio Rebalancing and Exchange Rates

Swiss Finance Institute Research Paper No. 18-03, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 49 Posted: 31 Jan 2018 Last Revised: 05 Jun 2018
Working Paper Series
Nelson Camanho, Harald Hau and Hélène Rey
School of Economics and Finance, Queen Mary University of London, University of Geneva - Geneva Finance Research Institute (GFRI) and London Business School

Multiple version iconThere are 3 versions of this paper

Downloads 287
48.

How is Liquidity Priced in Global Markets?

Swiss Finance Institute Research Paper No. 18-05, Paris December 2018 Finance Meeting EUROFIDAI - AFFI, HEC Paris Research Paper No. FIN-2018-1254, Forthcoming in Review of Financial Studies
Number of pages: 67 Posted: 18 Jan 2018 Last Revised: 14 Aug 2020
Accepted Paper Series
Ines Chaieb, Vihang R. Errunza and Hugues Langlois
University of Geneva - Geneva Finance Research Institute (GFRI), McGill University - Desautels Faculty of Management and HEC Paris - Finance Department
Downloads 383
49.

Herding in Equity Crowdfunding

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 74 Posted: 08 Dec 2017 Last Revised: 17 Dec 2021
Working Paper Series
Thomas B. Astebro, Manuel Fernández Sierra, Stefano Lovo and Nir Vulkan
HEC Paris - Economics and Decision Sciences, Universidad de Los Andes, HEC Paris - Finance Department and University of Oxford - Said Business School
Downloads 725
50.

Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross-Section of Stock Returns with Delay

AFA 2019 Atlanta Meetings Paper, Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 79 Posted: 30 Nov 2017 Last Revised: 04 Jan 2021
Working Paper Series
Steven Wei Ho and Alexandre R. Lauwers
Columbia University, Graduate School of Arts and Sciences, Department of Economics and University of Geneva - Graduate Institute, Geneva (IHEID)
Downloads 453